Assume you have a bunch of different systems that trade stocks, equity index ETFs, bond ETFs, and some other alternative assets, eg commodity ETFs. All the systems take both long and short positions. What are the questions your portfolio optimization…

Taking another look at portfolio optimization methods as they apply to relative strength- & momentum-based GTAA portfolios, this time I present a novel method that uses factor momentum in an attempt to tilt the allocation towards the factors behind the…

I was revisiting the choice of portfolio optimization algorithm for the GTAA portion of my portfolio and thought it was an excellent opportunity for another post. The portfolio usually contains 5 assets (though at times it may choose fewer than…